本文選題：Penman模型　切入點：會計異象　出處：《上海交通大學》2014年碩士論文　論文類型：學位論文

【摘要】：我們將Penman的模型應用于中國數(shù)據(jù)，用會計異象預測股票收益。考慮到中美會計準則及實例的差異，我們調整了變量及其組成部分，例如去掉其他應收款和其他應付款賬戶，因為這兩項常被認為隱含關聯(lián)方資金占用。樣本包括2001年至2012年的A股市場上市公司，金融企業(yè)除外�；貧w顯示了與美國相似的結果，五年滾動基礎的樣本外測試也有顯著的超額收益。我們也檢驗了包括其他應收應付賬戶的數(shù)據(jù)用于比較，進一步確認上述結論。 我們進一步將研究拓展到其他不同條件。首先，將收益計算區(qū)間由一年縮短為4月末至8月末后，我們發(fā)現(xiàn)中期報告的披露對于投資者決策的影響較小。其次，我們將公司按行業(yè)分類，對每類行業(yè)回歸，結果僅能源類和其他行業(yè)類別有明顯差異。另外，由于虧損公司常出現(xiàn)會計操縱行為，可能降低異常效應，我們研究了盈利公司樣本，但超額收益沒有改善。因此盈利公司并未表現(xiàn)出更強的應計異象。
[Abstract]:We apply the Penman model to Chinese data to predict stock returns using accounting anomalies. Considering the differences between Chinese and American accounting standards and examples, we adjust variables and their components, such as removing other receivables and other accounts payable. Because these two items are often regarded as implied related party capital usages. The sample includes listed companies listed on the A-share market from 2001 to 2012, with the exception of financial enterprises. The regression shows a similar result to that of the United States. Extra-sample tests on the five-year rolling basis also showed significant excess returns. We also tested data including other accounts receivable and payable for comparison to further confirm the above conclusions. We further expand our research to other conditions. First, by shortening the return range from one year to the end of April to the end of August, we find that the disclosure of interim reports has less influence on investors' decisions. We classify the companies by industry and return to each industry. The results show that there are only significant differences between the energy category and other industry categories. In addition, because accounting manipulation is common in loss-making companies, the abnormal effects may be reduced. We looked at a sample of profitable companies, but the excess returns did not improve. Therefore, the profit companies did not show a stronger accrual vision.
【學位授予單位】：上海交通大學
【學位級別】：碩士
【學位授予年份】：2014
【分類號】：F832.51;F275

【參考文獻】

相關期刊論文 前5條

1 李遠鵬;牛建軍;;退市監(jiān)管與應計異象[J];管理世界;2007年05期

2 王慶文;;會計盈余質量對未來會計盈余及股票收益的影響——基于中國股票市場的實證研究[J];金融研究;2005年10期

3 樊行健;劉浩;郭文博;;中國資本市場應計異象存在性研究——基于滬深上市公司的經(jīng)驗證據(jù)[J];會計之友(中旬刊);2009年06期

4 劉云中;;中國股票市場對會計盈余和會計應計量信息的反映[J];中國軟科學;2003年11期

5 李志文;宋云玲;;中國上市公司盈余和盈余構成的錯誤定價——來自A股市場的經(jīng)驗證據(jù)[J];中國會計評論;2009年01期

，

本文編號：1625835